本文以實證的方式研究美國時間序列資料中房屋擔保品缺乏度和景氣衰退的動 態關係。我們先以向量誤差修正模型萃取對房屋財富的負向暫時性衝擊作為對房 屋擔保品缺乏度的近似指標,再以累積常態機率函數模型和具有因時變動遞移機 率的馬可夫轉換自我迴歸模型檢驗房屋擔保品缺乏度和景氣衰退機率之間的關 聯性。以數種房地產財富資料的實證結果顯示, 房屋擔保品缺乏度增加會提高經 濟進入景氣衰退的機率,且可能將經濟體系由景氣擴張階段推入景氣衰退階段。

In this paper, we investigate the dynamic link between the scarcity of housing collateral and economic recessions in the US. First, we use vector error-correction models to identify negative transitory shocks to collateralizable housing wealth, which are used as proxies of housing collateral scarcity. We then use probit models and time-varying transition-probabilityMarkov-switching autoregressive models to investigate how the housing collateral scarcity affects the probability of recession. Using several measures of housing wealth, we find that the probability of economic downturns increases when the housing collateral is scarce, and that an increase in housing collateral scarcity may push the economy from expansion to recession.